Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0032 |
| Annualized Std Dev | 0.2550 |
| Annualized Sharpe (Rf=0%) | -0.0126 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3034.0000 |
| NAs | 1.0000 |
| Minimum | -0.1537 |
| Quartile 1 | -0.0075 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0082 |
| Maximum | 0.1449 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0161 |
| Skewness | -0.7415 |
| Kurtosis | 14.0755 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0164 |
| Downside Deviation (Rf=0%) | 0.0118 |
| Downside Deviation (0%) | 0.0118 |
| Maximum Drawdown | 0.8312 |
| Historical VaR (95%) | -0.0237 |
| Historical ES (95%) | -0.0384 |
| Modified VaR (95%) | -0.0250 |
| Modified ES (95%) | -0.0530 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-11-08 | 2020-03-23 | NA | -0.8312 | 2609 | 2358 | NA |
| 2009-10-13 | 2009-10-28 | 2010-03-02 | -0.1495 | 96 | 12 | 84 |
| 2009-02-10 | 2009-02-24 | 2009-03-17 | -0.1146 | 14 | 8 | 6 |
| 2010-04-27 | 2010-05-25 | 2010-06-15 | -0.1046 | 34 | 21 | 13 |
| 2009-06-15 | 2009-06-24 | 2009-07-01 | -0.0798 | 13 | 8 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | 3.3 | 0.7 | -1.3 | 2.3 | 3.6 | 1.1 | -6.3 | -1.4 | -1.6 | 1.9 | 1.6 | 3.6 |
| 2010 | 1.9 | 0.5 | 1.6 | -0.5 | 1.4 | 0.2 | 1.1 | 2.9 | -0.3 | 0.8 | 2.1 | 1 | 13.5 |
| 2011 | 0.2 | 0.7 | 0.8 | 0 | 0.1 | 0.5 | 0.8 | -0.2 | -2.6 | -3 | -0.7 | 0.3 | -3 |
| 2012 | 0.3 | 1.4 | -1.2 | 2.2 | -2.8 | 3 | -0.4 | 0.2 | -0.5 | -1.9 | 0 | 0.8 | 0.9 |
| 2013 | 0.8 | -0.2 | -0.2 | -1.1 | -3.3 | -0.2 | 1.8 | -0.1 | 1 | -0.3 | 0.4 | 0.1 | -1.2 |
| 2014 | -0.6 | 1.2 | 1.2 | 0.4 | 0 | 1.1 | 0.8 | 0.1 | -1.6 | 0.3 | -3.3 | -0.3 | -0.6 |
| 2015 | -1.2 | 0 | 2.9 | -0.7 | -1.5 | -1.5 | 0.6 | -3.9 | 0 | 0.1 | 0.3 | 0.8 | -4.2 |
| 2016 | -1.9 | 3.1 | 1.3 | -0.4 | -0.8 | 0.7 | -1.3 | 0.3 | -0.1 | -1 | 0.3 | -0.2 | -0.1 |
| 2017 | 0.2 | -0.3 | -0.1 | 0.4 | 1.2 | 0.9 | 1.4 | 1.1 | 0.2 | -0.1 | -0.3 | 0.2 | 4.9 |
| 2018 | 1.2 | -1.3 | 2.2 | -0.3 | 2.4 | 1 | -0.2 | -0.5 | 0.1 | 0.7 | -0.7 | 0 | 4.6 |
| 2019 | 0 | 0.1 | 0.6 | -0.9 | -1 | 0.5 | -2.6 | 0 | -0.7 | 3 | 0.6 | 0 | -0.6 |
| 2020 | -0.4 | -3.4 | -6.2 | -5.1 | 2.7 | 1.7 | -1.6 | 4.1 | -0.9 | 1.9 | 2.9 | -0.8 | -5.6 |
| 2021 | -0.3 | 2.1 | -0.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
